If the key is the same password you use to login, then they already have the key. They may not store it unhashed, but you transmit it to them every time you login. If law enforcement forces Proton, or if Proton turns evil (or gets infiltrated by a three letter agency), they can use it from the auth to decrypt your key and your data.
Plus, a bad actor having access to the encrypted key is free to brute force it. It may be hard but not guaranteed to stay hard forever.
Edit: didn't realize I was in a Proton fanboy community where you can't criticize or ponder the service security...